A fresh Take on ‘Barker Dynamics’ for MCMC

DOI10.1007/978-3-030-98319-2_8arXiv2012.09731OpenAlexW3111752196MaRDI QIDQ6154290FDOQ6154290

Authors: Samuel Livingstone, Giacomo Zanella 

Publication date: 14 February 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We study a recently introduced gradient-based Markov chain Monte Carlo method based on 'Barker dynamics'. We provide a full derivation of the method from first principles, placing it within a wider class of continuous-time Markov jump processes. We then evaluate the Barker approach numerically on a challenging ill-conditioned logistic regression example with imbalanced data, showing in particular that the algorithm is remarkably robust to irregularity (in this case a high degree of skew) in the target distribution.

Full work available at URL: https://arxiv.org/abs/2012.09731

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zbMATH Keywords

Metropolis-HastingsMCMCMarkov chainsLangevin dynamicsBarker dynamics

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

Cites Work

• Exponential convergence of Langevin distributions and their discrete approximations
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• Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
• The tamed unadjusted Langevin algorithm
• Kinetic energy choice in Hamiltonian/hybrid Monte Carlo
• User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
• Informed proposals for local MCMC in discrete spaces

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